| Metric | EQW | ^DJI | SPY | MV (150d) | BL (150d) |
|---|---|---|---|---|---|
| Risk-Free Rate | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% |
| Time in Market | 100.0% | 100.0% | 100.0% | 98.0% | 98.0% |
| Cumulative Return | 4,779.81% | 934.16% | 1,778.12% | 2,383.65% | 3,669.34% |
| CAGR﹪ | 13.78% | 8.07% | 10.23% | 11.26% | 12.81% |
| Sharpe | 0.76 | 0.52 | 0.61 | 0.63 | 0.81 |
| Prob. Sharpe Ratio | 100.0% | 99.78% | 99.96% | 99.98% | 100.0% |
| Smart Sharpe | 0.71 | 0.49 | 0.57 | 0.59 | 0.76 |
| Sortino | 1.09 | 0.74 | 0.86 | 0.92 | 1.18 |
| Smart Sortino | 1.02 | 0.69 | 0.81 | 0.86 | 1.11 |
| Sortino/√2 | 0.77 | 0.52 | 0.61 | 0.65 | 0.83 |
| Smart Sortino/√2 | 0.72 | 0.49 | 0.57 | 0.61 | 0.78 |
| Omega | 1.15 | 1.1 | 1.12 | 1.13 | 1.16 |
| Max Drawdown | -58.9% | -53.78% | -55.19% | -40.02% | -40.55% |
| Max DD Date | 2009-03-05 | 2009-03-09 | 2009-03-09 | 2003-03-13 | 2009-03-09 |
| Max DD Period Start | 2007-10-10 | 2007-10-10 | 2007-10-10 | 2000-03-28 | 2007-12-27 |
| Max DD Period End | 2010-12-09 | 2013-03-04 | 2012-08-15 | 2006-10-19 | 2011-05-02 |
| Longest DD Days | 1157 | 2450 | 2404 | 2397 | 1223 |
| Volatility (ann.) | 19.59% | 17.96% | 18.96% | 20.0% | 16.5% |
| Calmar | 0.23 | 0.15 | 0.19 | 0.28 | 0.32 |
| Skew | -0.06 | -0.17 | -0.06 | 0.38 | 0.14 |
| Kurtosis | 11.07 | 12.17 | 11.11 | 16.78 | 10.91 |
| Expected Daily | 0.05% | 0.03% | 0.04% | 0.04% | 0.05% |
| Expected Monthly | 1.08% | 0.65% | 0.81% | 0.89% | 1.01% |
| Expected Yearly | 13.36% | 7.83% | 9.92% | 10.92% | 12.42% |
| Kelly Criterion | - | - | - | - | - |
| Risk of Ruin | - | - | - | - | - |
| Daily Value-at-Risk | -1.97% | -1.82% | -1.92% | -2.02% | -1.66% |
| Expected Shortfall (cVaR) | -3.47% | -3.47% | -3.47% | -3.47% | -3.47% |
| Max Consecutive Wins | - | - | - | - | - |
| Max Consecutive Losses | - | - | - | - | - |
| Gain/Pain Ratio | - | - | - | - | - |
| Gain/Pain (1M) | - | - | - | - | - |
| Payoff Ratio | - | - | - | - | - |
| Profit Factor | 1.15 | 1.1 | 1.12 | 1.13 | 1.16 |
| Common Sense Ratio | - | - | - | - | - |
| CPC Index | - | - | - | - | - |
| Tail Ratio | 0.98 | 0.97 | 0.94 | 0.95 | 0.98 |
| Outlier Win Ratio | 3.87 | 4.24 | 4.07 | 3.85 | 4.61 |
| Outlier Loss Ratio | 3.77 | 4.09 | 3.79 | 3.61 | 4.32 |
| MTD | 2.37% | 2.57% | 5.17% | 0.4% | 2.3% |
| 3M | 10.2% | 10.94% | 12.06% | 7.17% | 11.96% |
| 6M | 13.08% | 14.12% | 16.79% | 12.98% | 14.7% |
| YTD | 2.06% | 3.83% | 6.85% | 3.71% | 7.13% |
| 1Y | 12.27% | 18.42% | 29.36% | 5.07% | 14.92% |
| 3Y (ann.) | 6.92% | 6.31% | 10.76% | 10.23% | 8.52% |
| 5Y (ann.) | 10.97% | 9.1% | 14.72% | 21.57% | 10.52% |
| 10Y (ann.) | 11.25% | 9.29% | 12.72% | 19.08% | 12.04% |
| All-time (ann.) | 13.78% | 8.07% | 10.23% | 11.26% | 12.81% |
| Best Day | 11.97% | 11.37% | 14.52% | 19.39% | 11.23% |
| Worst Day | -11.42% | -12.93% | -10.94% | -12.86% | -8.99% |
| Best Month | 19.0% | 13.95% | 12.7% | 21.9% | 15.67% |
| Worst Month | -15.87% | -15.13% | -16.52% | -15.36% | -15.57% |
| Best Year | 45.92% | 33.45% | 38.05% | 62.22% | 59.48% |
| Worst Year | -37.32% | -33.84% | -36.8% | -21.55% | -20.78% |
| Avg. Drawdown | -2.05% | -2.18% | -1.91% | -2.72% | -2.01% |
| Avg. Drawdown Days | 23 | 37 | 27 | 34 | 24 |
| Recovery Factor | - | - | - | - | - |
| Ulcer Index | 0.1 | 0.13 | 0.15 | 0.11 | 0.09 |
| Serenity Index | 1.69 | 0.75 | 0.84 | 1.31 | 1.43 |
| Avg. Up Month | 4.46% | 3.79% | 3.97% | 4.52% | 3.85% |
| Avg. Down Month | -4.75% | -4.79% | -4.69% | -4.35% | -3.62% |
| Win Days | 54.34% | 53.4% | 54.41% | 53.53% | 54.51% |
| Win Month | 65.75% | 62.71% | 65.19% | 59.32% | 64.41% |
| Win Quarter | 74.38% | 66.94% | 72.73% | 65.55% | 71.43% |
| Win Year | 83.87% | 74.19% | 80.65% | 87.1% | 83.87% |
| Year | EQW | ^DJI | SPY | MV (150d) | BL (150d) |
|---|---|---|---|---|---|
| 1994 | 10.95 | 1.92 | 0.81 | 3.28 | -1.33 |
| 1995 | 37.88 | 29.25 | 32.63 | 33.87 | 47.48 |
| 1996 | 27.60 | 23.85 | 21.15 | 8.00 | 25.93 |
| 1997 | 29.08 | 22.18 | 30.91 | 19.26 | 37.54 |
| 1998 | 28.98 | 16.90 | 27.71 | 5.58 | 26.06 |
| 1999 | 30.45 | 23.80 | 20.19 | 15.77 | -3.33 |
| 2000 | 12.30 | -4.22 | -7.41 | 1.13 | 29.63 |
| 2001 | 1.56 | -5.12 | -10.11 | -6.91 | -8.06 |
| 2002 | -15.61 | -15.11 | -20.83 | -22.13 | -6.51 |
| 2003 | 33.43 | 23.95 | 26.20 | 19.72 | 24.50 |
| 2004 | 13.69 | 3.69 | 10.78 | 0.89 | 7.38 |
| 2005 | 8.10 | -0.08 | 5.25 | 4.28 | 4.41 |
| 2006 | 18.09 | 15.58 | 15.21 | 22.80 | 27.41 |
| 2007 | 9.68 | 7.29 | 6.28 | 11.01 | 13.49 |
| 2008 | -37.33 | -34.13 | -37.36 | -4.36 | -17.60 |
| 2009 | 43.07 | 20.17 | 26.93 | 18.08 | 11.02 |
| 2010 | 17.77 | 11.76 | 15.63 | 7.96 | 9.18 |
| 2011 | 4.89 | 7.59 | 4.53 | 13.05 | 12.36 |
| 2012 | 17.95 | 7.69 | 15.64 | 6.61 | 16.29 |
| 2013 | 31.20 | 24.03 | 28.62 | 32.01 | 25.75 |
| 2014 | 16.48 | 7.84 | 13.27 | 12.34 | 12.57 |
| 2015 | 3.30 | -1.07 | 2.41 | 11.07 | 4.55 |
| 2016 | 16.56 | 13.38 | 12.18 | 10.85 | 10.23 |
| 2017 | 19.78 | 22.61 | 19.88 | 27.92 | 24.80 |
| 2018 | -5.89 | -4.20 | -3.23 | 11.79 | 6.48 |
| 2019 | 21.13 | 20.94 | 27.97 | 21.96 | 22.99 |
| 2020 | 14.81 | 13.82 | 22.47 | 57.82 | 13.26 |
| 2021 | 25.79 | 17.94 | 26.11 | 18.86 | 11.77 |
| 2022 | -3.61 | -7.24 | -17.13 | 13.94 | 1.96 |
| 2023 | 12.44 | 13.49 | 24.11 | 1.08 | 6.78 |
| 2024 | 2.14 | 3.81 | 6.73 | 3.82 | 6.98 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-10-10 | 2010-12-09 | -58.90 | 1157 |
| 2020-01-21 | 2020-11-13 | -38.98 | 298 |
| 2001-05-22 | 2003-11-28 | -33.63 | 921 |
| 2022-01-13 | 2023-12-13 | -23.07 | 700 |
| 2011-05-11 | 2012-02-02 | -20.87 | 268 |
| 1998-07-20 | 1998-11-20 | -20.54 | 124 |
| 2018-01-29 | 2019-07-11 | -18.70 | 529 |
| 2000-01-18 | 2000-03-31 | -15.03 | 74 |
| 2001-02-02 | 2001-05-15 | -14.65 | 103 |
| 2015-05-22 | 2016-03-31 | -12.99 | 315 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-10-10 | 2013-03-04 | -53.78 | 1973 |
| 2000-01-18 | 2006-10-02 | -37.85 | 2450 |
| 2020-02-13 | 2020-11-13 | -37.09 | 275 |
| 2022-01-05 | 2023-12-12 | -21.94 | 707 |
| 1998-07-20 | 1998-11-20 | -19.26 | 124 |
| 2018-10-04 | 2019-07-02 | -18.77 | 272 |
| 2015-05-20 | 2016-07-11 | -14.48 | 419 |
| 1997-08-07 | 1998-02-09 | -13.30 | 187 |
| 2018-01-29 | 2018-09-19 | -11.58 | 234 |
| 1999-08-26 | 1999-12-22 | -11.53 | 119 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-10-10 | 2012-08-15 | -55.19 | 1772 |
| 2000-03-27 | 2006-10-25 | -47.52 | 2404 |
| 2020-02-20 | 2020-08-07 | -33.72 | 170 |
| 2022-01-04 | 2023-12-12 | -24.50 | 708 |
| 2018-09-21 | 2019-04-11 | -19.35 | 203 |
| 1998-07-21 | 1998-11-20 | -19.03 | 123 |
| 2015-07-21 | 2016-04-15 | -13.02 | 270 |
| 1999-07-19 | 1999-11-16 | -11.70 | 121 |
| 1997-10-08 | 1997-12-04 | -11.20 | 58 |
| 2018-01-29 | 2018-08-03 | -10.10 | 187 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2000-03-28 | 2006-10-19 | -40.02 | 2397 |
| 2020-02-18 | 2020-06-02 | -30.62 | 106 |
| 2007-07-17 | 2010-04-08 | -29.47 | 997 |
| 1998-07-20 | 1999-05-12 | -24.57 | 297 |
| 2020-09-02 | 2021-03-12 | -20.26 | 192 |
| 1999-07-19 | 2000-03-21 | -18.21 | 247 |
| 2010-04-23 | 2010-12-30 | -17.92 | 252 |
| 2022-05-31 | 2022-11-07 | -17.40 | 161 |
| 2015-08-05 | 2015-10-16 | -16.81 | 73 |
| 1997-08-08 | 1998-03-23 | -15.60 | 228 |
| Started | Recovered | Drawdown | Days |
|---|---|---|---|
| 2007-12-27 | 2011-05-02 | -40.55 | 1223 |
| 1999-07-19 | 2000-10-27 | -31.54 | 467 |
| 2002-05-24 | 2004-01-02 | -31.31 | 589 |
| 2020-02-11 | 2020-08-11 | -25.93 | 183 |
| 2022-04-21 | 2023-12-22 | -19.53 | 611 |
| 2001-01-03 | 2002-02-28 | -14.80 | 422 |
| 2018-12-04 | 2019-03-29 | -14.02 | 116 |
| 2011-05-13 | 2011-12-06 | -13.09 | 208 |
| 2015-03-03 | 2015-10-27 | -11.83 | 239 |
| 2018-01-29 | 2018-07-31 | -11.30 | 184 |